Hi Bea:
I had to replace the door screens due to an overzealous dog. Since I had to do it, I decided to use no-see-um screening. It was very easy to do as the no-see-um screening is very pliable. I did not also do the windows. There was no difference I could detect as far as airflow, but the no-see-um was a little darker so that was a plus as far as privacy is concerned.
It was pointed out to me on another forum that doing just the door and not all of the windows was self-defeating in terms of the smallest of bugs likely getting through the window screens since I did not also do them in the no-see-um screening. I conceded that the point was valid (if you assume you have both the door and windows open! - ha!).
And I picked up the screening at Home Depot.